At least not as a beginners project. It takes a stereo microscope to work on it and all the parts have to be made, as they cannot be bought. And if it's supposed to do anything but hovering around in a random fashion - like if it's part of a swarm - you need sensors, actuators, wireless communication and a controller, all in really tiny sizes - there's a reason these things are mostly build in research labs who have access to materials that's not in common trade.
Just look at how this one walk (in µm steps)
The locomotion unit consists of a flexible printed circuit board (FPC) with three legs that have a piezoelectric polymer actuator multilayer film on top.